Support for Cross Orders

Overview

CME Gateway 7.17.45 and higher supports submitting cross orders
into the market. At the exchange, cross orders are treated as “Limit”
orders. Users can submit cross orders for all available products
at the exchange that are supported by the CME Gateway.

Users cannot modify (Change or Cancel/Replace) sitting cross
orders. The CME Gateway rejects the Change action with a message
"Unsupported order_restrict code". For Cancel/Replace, the order
will be canceled, but the replacement order will be rejected by
the gateway with the same message. The only actions permitted by
the gateway for a sitting cross order are "Inquire" and "Cancel".

RFQ Support

The exchange requires a “quote request for cross” (RFQ) prior
to submitting the cross order. The CME Gateway 7.17.45 and higher
and X_TRADER 7.17.35 and higher support this requirement.

At CME Group, certain products may be eligible for cross trades
but not eligible for RFQ. If not eligible for RFQ, you’ll get a
reject message from the exchange; however, the cross order can still
be submitted for the product. Contact the exchange to ensure that
your product is eligible for RFQ.

If you plan to set your own time interval between RFQ and
submitting the order (RFC), contact the exchange or refer to the
exchange rules for the correct time interval for your product. Exchange
rules for RFQ and RFC are provided in Section 539 of the following
exchange document: http://www.cmegroup.com/rulebook/CBOT/I/5/5.pdf